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一颗牙疼 · 2020年03月14日

问一道题:NO.PZ2017012501000010

问题如下:

The tranches in a collateralized mortgage obligation (CMO) that are most likely to provide protection for investors against both extension and contraction risk are:  

选项:

A.

planned amortization class (PAC) tranches  

B.

support tranches.   

C.

sequential-pay tranches.

解释:

A is correct.

PAC tranches have limited (but not complete) protection against both extension risk and contraction risk. This protection is provided by the support tranches. A sequential-pay tranche can protect against either extension risk or contraction risk but not both of these risks. The CMO structure with sequential-pay tranches allows investors concerned about extension risk to invest in shorter-term tranches and those concerned about contraction risk to invest in the longer-term tranches.

为什么不是B,他不是保护了PAC吗

2 个答案

一颗牙疼 · 2020年03月16日

谢谢老师

吴昊_品职助教 · 2020年03月16日

没事。

吴昊_品职助教 · 2020年03月15日

题干中有“for investors”。给投资者提供保护的是PAC结构,对投资者来说,购买PAC结构,才有最小的extension risk和contraction risk。所以PAC是受到保护的那一个,它的两种risk都是最小的。

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